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Published / Preprint: Optimal multiple stopping with random waiting times. (arXiv:1205.1966v1 [q-fin.PR])

May 10, 2012 by MoneyScience   Comments (0)

In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times from bunching up together on top of the optimal stopping time for the one-exercise case. In this article we generalize the standard model by considering random refraction times. We develop the theory and reduce the problem to a sequence of ordinary...

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Published / Preprint: Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause. (arXiv:1205.2013v1 [q-fin.PR])

May 10, 2012 by MoneyScience   Comments (0)

Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilateral option to early terminate the swap at predefined dates requires a Bermudan credit valuation adjustment. We give a general pricing formula assuming a default-free close-out...

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Published / Preprint: Statistical ensembles for money and debt. (arXiv:1109.0891v2 [q-fin.GN] UPDATED)

May 10, 2012 by MoneyScience   Comments (0)

We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the Hamiltonian is taken by the total money supply (i.e. including money created from debt) of a set of interacting economic agents. As a result, we can read the main thermodynamic quantities in terms of monetary ones. In particular, we define for the credit market...

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Moody's Analytics Integrates FINCAD Analytics into RiskFoundation Platform

May 9, 2012 by FINCAD   Comments (0)

[05/10/2012] Moody's Analytics has chosen to embed FINCAD Analytics in the calculation tier of its newly architected RiskFoundation platform.

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